Net Position Changes Data

The Large Trader Net Position Changes and the Trading Account Net Position Changes data provides the public with a view of the amount of trading that results in net changes to positions at the trader level and at the account level. The data reflects trading that changes or creates an end-of-day position, as contrasted with trading that does not change a trader’s end-of-day net position, such as spread or day trading. This data release should provide the public, academia and traders with further insight into market liquidity.

The CFTC is providing the data to the public on a one-time basis. For further details about these reports, see the explanatory notes that accompany each report.

Large Trader Net Position Changes

The Large Trader Net Position Changes data relies on the Commission’s Large-Trader Reporting System (LTRS). The data identifies, for a given week, the daily-average net position changes for large traders in 27 physical and eight financial futures markets from January 2009 through May 2011. The report also provides amounts for net position changes using the same trader classifications as the Commission’s “Disaggregated Commitments of Traders” reports.

Trading Account Net Position Changes

The Trading Account Net Position Changes data relies on transaction data provided to the Commission by the exchanges. The data shows, for a given week, the daily-average net position change at the trading account level. The data covers 20 physical and eight financial futures markets from April 2010 through May 2011.

Measures of the average Trading Account Net Position Changes (PDF) are provided in two tables. In addition to providing average, futures-only trading volume and open interest, these tables also allow the reader to directly compare the two measures.